volatility. In this sense, we extend recent papers by Andersen, Bollerslev, Diebold and Labys (2003), and by Andersen, Bollerslev … and Meddahi (2004, 2005), who address the issue of pointwise prediction of volatility via ARMA models, based on the use of … realized volatility. Our approach is to use a realized volatility measure to construct a non parametric (kernel) estimator of …

The topic of volatility measurement and estimation is central to financial and more generally time series econometrics …. In this paper, we begin by surveying models of volatility, both discrete and continuous, and then we summarize some … developments in volatility models, with focus on time varying and stochastic volatility as well as nonparametric volatility …

The topic of volatility measurement and estimation is central to financial and more generally time series econometrics …. In this paper, we begin by surveying models of volatility, both discrete and continuous, and then we summarize some … developments in volatility models, with focus on time varying and stochastic volatility as well as nonparametric volatility …

contribution to overall realized variation and their contribution to predictive regressions of realized volatility. We find … individual stocks. -- Itô semi-martingale ; realized volatility ; jumps ; quadratic volatility ; multipower variation ; tripower …

intra-day basis, has spurred numerous theoretical advances in the areas of volatility/risk estimation and modeling. In this … paper, we discuss key such advances, beginning with a survey of numerous nonparametric estimators of integrated volatility … useful information for modeling variables such as returns and volatility in another sector. As an illustration of the methods …

volatility. In this sense, we extend recent papers by Andersen, Bollerslev, Diebold and Labys (2003), and by Andersen, Bollerslev … and Meddahi (2004, 2005), who address the issue of pointwise prediction of volatility via ARMA models, based on the use of … realized volatility. Our approach is to use a realized volatility measure to construct a non parametric (kernel) estimator of …